Dear CME Globex Customers,

On Sunday, July 9, 2006 (for trade date Monday, July 10), CME is scheduled to launch Covered CME Eurodollar options on futures (Covereds). Covereds are the first phase of the CME User-Defined Spreads (UDS) initiative, and the model for future UDS functionality.

UDS are spreads composed of CME-defined contracts, created by traders during the trading session. Covered CME Eurodollar options are unique CME Eurodollar option instruments created by combining a CME-defined outright option or option spread with one or two underlying CME Eurodollar futures. For instance, a trader may create an instrument where the CME Eurodollar option H6 Call 96.50 (Δ = 0.30) is covered by the CME Eurodollar future GEH6 96.00.

With this launch, CME is introducing three new order entry messages and one new Security Definition (MU) market data message, for creating Covereds. This release will impact:

• All customers interested in trading Covereds; and,
• All customers receiving CME Eurodollar options market data on channel 10 of the CME Market Data Platform.

Please note: Covereds market data will only be supported on the CME Market Data Platform and will only be disseminated in RLC format. For more information on developing to the CME Market Data Platform, please visit www.cme.com/marketdata, or ask your third-party data vendor.

All impacted customers are required to complete a manual certification. Covereds are currently available in the CME certification environment.

More information on the Covereds release is available in the User-Defined Spreads for CME Eurodollar Options: Covereds Client Impact Assessment.

If you have any questions or concerns, please contact your CME Globex Account Manager at 312.634.8700, or in Europe at +44.207.623.2550.

Thank you,

CME